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Then you are not doing a vigilant job of protecting your system and trying last ditch efforts of recovering from permitting malware on your system.
Sorry not entirely correct, how do you think zero day infections get on to systems, new MS exploits, etc. etc., because they aren't detected by your security systems.
Why do you think that people come to the viruses and worms forum, having been infected when they had what they felt was adequate protection.
Why is it that some visiting this forum are only aware of having an infection because their firewall blocked an unauthorised outbound connection.
So it pays to have a contingency to try and stop them getting out to further reap havoc. It is adding another level of security if all other elements have failed. It too might fail depending on the type of attack, but that plainly doesn't mean we shouldn't bother using one.
What is good for you or me for that matter is not necessarily good for the average person visiting these forums who need all the help and protection that a third party firewall might give.